Burt, A., & Hrdlicka, C.M. (2015). Return Predictability Through Board Links.

We find that investors fail to immediately account for information in past prices among firms with interconnected boards: a long-short portfolio, formed based on these links, yields an annual alpha of 6.5%. This predictability is limited to the period of the board link and not driven by industry or previously identified links. Investor inattention plays a key role: the predictability is concentrated among the largest firms, the long-end and in semi-private, hand-collected data on board links. Insider trading is a key mechanism: filtering on the trades of the linked director yields an annual alpha of 15%. [Read More]